Related papers: Optimal cash management using impulse control
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
For a control system two major issues can be considered: the stabilizability with respect to a given target, and the minimization of an integral functional (while the trajectories reach this target). Here we consider a problem where…
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
Explicit solution of an infinite horizon optimal stopping problem for a Levy processes with a polynomial reward function is given, in terms of the overall supremum of the process, when the solution of the problem is one-sided. The results…
We consider parametrized linear-quadratic optimal control problems and provide their online-efficient solutions by combining greedy reduced basis methods and machine learning algorithms. To this end, we first extend the greedy control…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…
In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal…
We introduce a new method, stepwise method for solving optimal con- trol problems. Our first motivation for new approach emanate from limi- tations on continuous time control functions in PMP. Practically in most of the real world models,…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
We introduce discontinuous solutions to nonlinear impulsive control systems with state time delays in the dynamics and derive necessary optimality conditions in the form of a Maximum Principle for associated optimal control problems. In the…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
Most of the early input-queued switch research focused on establishing throughput optimality of the max-weight scheduling policy, with some recent research showing that max-weight scheduling is optimal with respect to total expected delay…